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  • Apr
    16

    Does Overnight News Explain Overnight Returns?

    Department of Industrial Engineering and Management Sciences (IEMS)

    11:00 AM Krebs Classroom, North Campus Parking Garage/Academic Building

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    Abstract: Over the past 30 years, nearly all the gains in the U.S. stock market have been earned overnight, while average intraday returns have been negative or flat. We find that a large part of this effect can be explained by differences between intraday and overnight news and the response to news. Our analysis uses a collection of over a million news articles. We use supervised topic analysis technique that selects news topics based on their ability to explain contemporaneous market returns. We find that differences in the mix of news topics and differences in the responses to news topics both contribute to the difference in intraday and overnight returns. In out-of-sample tests, our approach forecasts which stocks will do particularly well overnight and particularly poorly intraday. We contrast the effect of news with other mechanisms proposed in the literature to explain overnight returns. This is joint work with Kriste Krstovski, Paul Laliberte, and Harry Mamaysky.

    Bio: Paul Glasserman is the Jack R. Anderson Professor Business at Columbia Business School, and he is chair of the Financial and Business Analytics center in Columbia University's Data Science Institute. His research interests lie at the intersection of data science and quantitative finance; recent projects include work on properties of implied volatility, stress testing, systemic risk, swing pricing, and applications of natural language processing in finance. Paul received the 2006 Lanchester Prize for his book, Monte Carlo Methods in Financial Engineering, and he is also a past recipient of Risk magazine's Quant of the Year Award (2007) and the IAQF Financial Engineer of the Year Award (2020).

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    TIME Tuesday, April 16, 2024 at 11:00 AM - 12:00 PM

    LOCATION Krebs Classroom, North Campus Parking Garage/Academic Building    map it

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    CONTACT Kendall Minta    kendall.minta@gmail.com EMAIL

    CALENDAR Department of Industrial Engineering and Management Sciences (IEMS)

  • Jun
    17

    Summer Classes Begin. Summer Change of Registration (Drop/Add)/Late registration begins

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    All Day

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    TIME Monday, June 17, 2024

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    CONTACT Office of the Registrar    nu-registrar@northwestern.edu EMAIL

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  • Jun
    19

    Juneteenth (no classes)

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    All Day

    EVENT DETAILS

    TIME Wednesday, June 19, 2024

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    CONTACT Office of the Registrar    nu-registrar@northwestern.edu EMAIL

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  • Aug
    14

    Undergraduate Quantum Summer School

    McCormick School of Engineering and Applied Science

    All Day Ford Motor Company Engineering Design Center

    EVENT DETAILSmore info

    TIME Wednesday, August 14, 2024

    LOCATION Ford Motor Company Engineering Design Center    map it

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    CONTACT Dongyang Li    lidongyang@northwestern.edu EMAIL

    CALENDAR McCormick School of Engineering and Applied Science

  • Aug
    15

    Undergraduate Quantum Summer School

    McCormick School of Engineering and Applied Science

    All Day Ford Motor Company Engineering Design Center

    EVENT DETAILSmore info

    TIME Thursday, August 15, 2024

    LOCATION Ford Motor Company Engineering Design Center    map it

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    CONTACT Dongyang Li    lidongyang@northwestern.edu EMAIL

    CALENDAR McCormick School of Engineering and Applied Science

  • Sep
    24

    Fall 2024 Classes Begin

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    EVENT DETAILS

    TIME Tuesday, September 24, 2024

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    CONTACT Office of the Registrar    nu-registrar@northwestern.edu EMAIL

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  • Sep
    30

    Last day to add or change classes (Last day for tuition adjustment related to enrollment changes (to or from full-time). No reductions are made to bills for dropped or swapped classes after this date)

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    EVENT DETAILS

    TIME Monday, September 30, 2024

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    CONTACT Office of the Registrar    nu-registrar@northwestern.edu EMAIL

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  • Dec
    7

    Fall classes end

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    EVENT DETAILS

    TIME Saturday, December 7, 2024

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    CONTACT Office of the Registrar    nu-registrar@northwestern.edu EMAIL

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